Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Cholamandalam Financial Holdings Ltd backtest
10 trend-following strategies were compared on the full daily history of Cholamandalam Financial Holdings Ltd. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.0%, MDD -35.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.7%, drawdown -82.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -35.1%, Sharpe 1.00, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 28.0%, MDD -35.1%, exposure 62%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=112 |
28.0% | -35.1% | 1.00 | 0.80 | 385.3x | 55 | 62% |
| EMA 크로스오버 fast=32, slow=72 |
27.5% | -42.1% | 0.97 | 0.65 | 347.9x | 52 | 64% |
| Supertrend period=27, mult=4.5 |
26.4% | -36.7% | 0.97 | 0.72 | 282.1x | 47 | 60% |
| ROC 모멘텀 n=133, threshold=0.1 |
21.0% | -51.3% | 0.84 | 0.41 | 98.9x | 142 | 52% |
| Donchian 채널 돌파 entryN=29, exitN=60 |
23.5% | -56.3% | 0.84 | 0.42 | 161.8x | 39 | 74% |
| 볼린저 밴드 돌파 n=34, k=1.6 |
16.9% | -42.4% | 0.76 | 0.40 | 43.0x | 166 | 43% |
| ADX / DI 방향성 period=14, threshold=12 |
17.9% | -55.1% | 0.72 | 0.32 | 52.4x | 400 | 60% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=1.2 |
15.8% | -42.4% | 0.68 | 0.37 | 33.9x | 154 | 52% |
| MACD fast=24, slow=33, signal=18 |
13.1% | -50.4% | 0.60 | 0.26 | 19.3x | 252 | 50% |
| Parabolic SAR step=0.01, maxStep=0.34 |
13.1% | -47.2% | 0.59 | 0.28 | 19.3x | 302 | 55% |
| Buy and hold | 26.7% | -82.3% | 0.82 | 0.32 | 299.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 23-day average falls below the 112-day average